Article ID Journal Published Year Pages File Type
5061669 Economics Letters 2009 4 Pages PDF
Abstract

We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A comparative study of three data-based methods of instrument selection
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